dont want to create new topic just for this, so..
could anyone tell me if the story in Persona 4 even remotely connected to the previous games? Or it is like Final fantasy: each part - different world?

It's not a PCSX2 thing so chatterbox, dont think too much about making new threads just try to make them descriptive. For example this thread named "Persona 4" but it wasnt really about the game, it was about making cheat codes work which makes it a bad title